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Re: st: fixed effects & autocorrelation& heteroskedasticity
Antonio Rodrigues Andres replied:
> I just wonder if I want to estimate a fixed effects model with ar(1) and
> accounting for heteroskedasticity, I should use xtgls as follows
> xtgls dep.var indep.var indi.dummies, force p(corr)
> is that correct?
I've never really used this command, but the official -xtregar- may be
what you're looking for in this regard: -whelp xtregar-.
The correct formulation using this would be:
. xtregar y x1 x2 x3 xk, fe
There is no reason I can think of as to why unit-level dummies could not
be included here.
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